Estimating à Cagan-type Demand Function for Gold: 1561-1913

Alexei Deviatov ()

Russian Journal of Money and Finance, 2019, vol. 78, issue 3, 122-136

Abstract: Long time series on gold production and the value of gold, taken from Jastram's book The Golden Constant, are used to estimate à Cagan-type demand function that relates the total real value of gold to its expected rate of return. The model assumes that gold production and à latent scale variable (income or consumption) are jointly exogenous and that the data are measured with error. The data reject the model: the estimates imply that the real value of gold varies à great deal relative to the expected return and depends on it negatively, rather than positively.

Keywords: gold; Cagan demand function; estimation (search for similar items in EconPapers)
JEL-codes: E41 (search for similar items in EconPapers)
Date: 2019
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Related works:
Working Paper: Estimating a Cagan-type demand function for gold: 1561-1913 (2007)
Working Paper: Estimating a Cagan-type demand function for gold: 1561-1913 (2006)
Working Paper: Estimating a Cagan-type demand function for gold: 1561-1913 (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bkr:journl:v:78:y:2019:i:3:p:122-136

DOI: 10.31477/rjmf.201903.122

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